How to limit the number of assets in portfolio mode?

[gordonhui112]

[polakowo]

You need to elaborate more on this.

[gordonhui112]

Thanks for replying!

My question is how to limit the number of assets holding, let's say maximum 5 assets for a asset universe of 100, at every moment during the backtest.

Thank you!

[polakowo]

@gordonhui112 you can only limit your capital exposure, not the position itself. If you use Portfolio.from_order_func, you can write your own logic that has such a limit (such as if c.shares_now >= your_limit: return NoOrder). But using from_signals or from_orders won't give you that. I can add such an option to vectorbt in the next release but I'm curious why you want it?

[gordonhui112]

Thanks you. Because I want to check out the non-coupounding effect of the strategy.

[polakowo]

@gordonhui112 you can still specify a fixed amount of assets to trade using size in both from_signals and from_orders. By default it's np.inf, but setting it to a finite number should do the trick. If you using from_orders, you can also control the target position size using size_type='targetshares', so passing size=10 will limit your position size to 10. To close the position, just do size=0.

[gordonhui112]

Thank you!